Calibrating the Mean-Reversion Parameter in the Hull-White Model Using Neural Networks

Georgios Moysiadis, Ioannis Anagnostou, Drona Kandhai. Calibrating the Mean-Reversion Parameter in the Hull-White Model Using Neural Networks. In Carlos Alzate, Anna Monreale, Livio Bioglio, Valerio Bitetta, Ilaria Bordino, Guido Caldarelli, Andrea Ferretti, Riccardo Guidotti, Francesco Gullo, Stefano Pascolutti, Ruggero G. Pensa, CĂ©line Robardet, Tiziano Squartini, editors, ECML PKDD 2018 Workshops - MIDAS 2018 and PAP 2018, Dublin, Ireland, September 10-14, 2018, Proceedings. Volume 11054 of Lecture Notes in Computer Science, pages 23-36, Springer, 2018. [doi]

Abstract

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